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GaveKal Goes Looking For Black Swans, Finds A Soaring Skew
The CBOE Skew Index made a 15-year, 11-month high last Friday and the 25-day moving average is on the rise again.
The latest reading puts the risk-adjusted probability of a 2 standard deviation event happening in the next 30-days at 11.75%-13.10% and a 3 standard deviation event at 2.21%-2.51% for the S&P 500.
The 1-quarter moving average of the Put/Call ratio is on the rise as well.
It is approaching levels which has been consistent with the 1-quarter price returns for the S&P 500 turning negative. The 1-quarter change in the S&P 500 current is at 1.61%.
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No. Just no.
Whad'hesay?
He said the likely-hood of an unlikely event has recently increased.
Too bad none of the major economic events of the last 20 years correlate with this CBOE skew index, or this article might have some merit.
A fifteen year 11 month high last Friday; I like that. It's a very interesting web site, too.
It kinda looks like the skew is a bit of a lagging indicator. That high point in the late 90s appears to have hit AFTER the 18% correction while it still had over a year until the top.
I pooped today!
Stick to economics Zerohedge. Finance isn't your forte.
If by "economics" you mean licking Putin's ass then yes, ZH should stick with that.
Nobody is doing that. US funded and instigated a coup against a democratically elected leader in Ukraine...ZH has done nothing but document this.
Skewtacular!
Unsustainable!
http://www.ispyetf.com/app_files/PDNewsletter_Images/Unemployment%20Paradox.png
very interesting analysis. looks like about a 70/30 bet at this time.
But of course, it's important to remember that I'm skewed too; in fact, generally regarded as "crazy".
Lots of people are considered crazy until they are acclaimed to be geniuses. Of course many continue on as crazy.
Didn't know there was a SKEW index; verrry interesting; will go to url and study; thnkx. Tyler.
I thought a black swan had to be something paradigm-shifting, which alters conventional assumptions about what is possible. The market dropping by 2-3 standard deviations is not paradigm-altering. It is more a reversion to normal behavior.
well, I think the term refers to something possible, but so un-likely as to be not counted on by the risk evaluators; as far as I can remember from the book it doesn't have to shift any paradigms.
Check out this stick save lol...yup no funny stuff here folks lol
https://www.tradingview.com/x/P9coQAEz/
Bitcoin, argh. Flippin' Litecoin was at $10 six months ago, now it is $4 and change.
Yup. And I told the litecoin traders that the price was going down at $10, again at $8, then $6. Now it's around $4.80. It can theoretically go much lower, could go to close to zero, in fact.
Litecoin is -highly- correlated with bitcoin, but bitcoin is a lot less volatile. People draw a parallel between gold and silver, but it is a stupid parallel. The only parallel is in the relative market caps.
Just as well TPTB cannot manipulate Bitcoin like that.
Oh wait.
A medium of exchange that behaves like a speculative commodity is unsettling.
If Bitcoin was stable and widely accepted I'd ude it but now it is just a gamble and a risky one at that.
I use dollars and they hold value (kinda) and as long as one does not use them for saving they word at least 'OK'.
LOL. Yes, that's a bit un-likely in a "normal" market. LOL.
A medium of exchange that behaves like a speculative commodity is unsettling.
If Bitcoin was stable and widely accepted I'd use it but now it is just a gamble and a risky one at that.
I use dollars and they hold value (kinda) and as long as one does not use them for saving they word at least 'OK'.
I think Jackie DeAngelis logged in to thumb down non-believers.
#churchofdebtacolyte.
The entire run has been funded by options manipulation., but had hit the internal imbalance limit.
Looks like a market crash is right around the corner...in about a year and a half.
Timing is very difficult, isn't it. I just keep shorting tops and sooner or later I'll short the right one.
Living dangerously and loving it?
The Fed has been trying to get you for thr past 5 years.
My plan is to avoid stocks. Yes they might keep supporting them in some other way (than QE) but I have a feeling some people find out before I do and scoop up the real money leaving me pennies.
Crash coming, in 17 years.....SEVENTEEN and not a moment sooner!
Do you have a newsletter ? What other interesting predictions does your model make ?
First Hint of U.S. Stock Losses Fuels Rush for Insurance
23 September 2014, by Callie Bost (Bloomberg)
http://www.bloomberg.com/news/print/2014-09-23/first-hint-of-u-s-stock-losses-fuels-rush-for-insurance.html
Hmm-hmm. yes; it's a very nervous world, out there; and a very twitchy market; not "stable" at all.
He said more or less likely you should BTFD
Just watched Larry David's Black Swan. Really funny show!
Skew schmoooo. I make $9,145.72 working from home. And you can too.
must be all those Hingenberg Omen followers....27 more days!
When Syrian S-300's start taking down YF-22's, FA-18's F-15's and a bomber or three, you'll have a Black Swan up your tail pipe.
Pretty lame chart porn, the SKEW index.
The chances of a 1SD move are usually about 15% and a 2SD move around 3%.
A black swan is like the Spanish Inquisition. Nobody expects the Spanish Inquisition!